index linked

The term structure of real interest rates: theory and evidence from UK index-linked bonds [An article from: Journal of Monetary Economics]
$8.95
This digital document is a journal article from Journal of Monetary Economics, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
This paper studies the behavior of the default-risk-free real term structure and term premia in two general equilibrium endowment economies with complete markets but without money. In the first economy there are no frictions as in Lucas (Econometrica 46 (1978) 1429) and in the second risk-sharing is limited by the risk of default as in Alvarez and Jermann (Econometrica 68 (2000) 775; Rev. Financial Studies 14 (2001) 1117). Both models are solved numerically, calibrated to UK aggregate and household data, and the predictions are compared to data on real interest rates constructed from the UK index-linked data. While both models produce time-varying risk or term premia, only the model with limited risk-sharing can generate enough variation in the term premia to account for the rejections of expectations hypothesis.

The behavior of government of Canada real return bond returns [An article from: International Review of Financial Analysis]
$10.95
This digital document is a journal article from International Review of Financial Analysis, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
The Government of Canada first issued real return bonds, commonly referred to as index-linked bonds in the finance literature, in December 1991. This paper looks at how the prices of real return bonds should behave theoretically, and empirically examines the holding period returns of real return bonds between 1992 and 2003. This study finds that the real return bond holding period returns were positively related to changes in the year-over-year inflation rate but with a lagged effect, were negatively related to changes in nominal interest rates, but were unrelated to changes in either the stock exchange index or the value of the Canadian dollar.

Managing Public Debt: Index-Linked Bonds in Theory and Practice
$150.00
This book is a collection of articles in different subjects related to indexlinked bonds (according to the authors opinon). However, the title is very missleading, since basically nothing of the content is very useful for a marketpractioner.